A bit of google finds that .anm is a proprietary format which supposedly can be opened in Maya, though even that looks questionable. Even 3dMax is out of luck on this one.

There is some game-forum chatter about an ancient Blender plugin, but I can not find the actual file. If you manage to find it, you will need the older Blender 2.49 to use it. It definitely wont work with the current version...